Its northeast of the Ill Omen Inn which is north of Bravil if you havent gotten the initiation quest for the Dark Brotherhood. It should be guarded by minotaurs but dont attack them, the unicorn will attack you if you do it wrong. Run up and just ride him. As armour im not so sure im stil getting an update, Ill let you know tommorow.(considering you havent done it yourself.)

the unicorn is in harcane grove. if you go to hircines shrine its straight below that. if you ever go to hircines shrine do the quest for him and you will have to kill a unicorn for him. hircines shrine is located not to far below the imperial city. and near the ill omen which is sraight up from bravil. and no you can't put armor on it or any other type of animal. when you get to harcane grovego to the minataurs and make them come after you. lead them far enough away that the unicorn in the middle doesn't see you, then you kill the minataurs and go back to the unicorn with your weapon sheathed and grab it. at any time in the game that you come up to the unicorn with your weapon drawn it will attack you and you will have to kill it or it will kill you.